TY  - JOUR
AU  - Bekaert,Geert
AU  - Harvey,Campbell R.
TI  - Time-Varying World Market Integration
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4843
PY  - 1994
Y2  - August 1994
UR  - http://www.nber.org/papers/w4843
L1  - http://www.nber.org/papers/w4843.pdf
N1  - Author contact info:
Geert Bekaert
Graduate School of Business
Columbia University
3022 Broadway, 411 Uris Hall
New York, NY 10027
Tel: 212/854-9156
Fax: 212/662-8474
E-Mail: gb241@columbia.edu

Campbell R. Harvey
Duke University
Fuqua School of Business
Durham, NC 27708-0120
Tel: 919/660-7768
Fax: 919/660-8030
E-Mail: cam.harvey@duke.edu
AB  - We propose a conditional measure of capital market integration that allows us to characterize both the cross-section and time-series of expected returns in developed and emerging markets.  Our measure, which arises from a conditional regime-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample.  Our results suggest that a number of emerging markets exhibit time-varying integration.  Interestingly, some markets appear to be more integrated than one might expect based on prior knowledge of investment restrictions.  Other markets appear segmented even though foreigners have relatively free access to their capital markets.
ER  -